Related papers: The Simple Yield Curve Models
In this study, we consider the asset pricing under model uncertainty with discrete time and states structure. For the single-period securities model, we give a novel definition of arbitrage under a family of probability, and explore of its…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
This paper establishes a constructive link between the first slope of Artin-Schreier curves X_f: y^p-y=f(x) and the p-adic weight of the support of f(x). If the maximal p-adic weight element v in Supp(f) is unique, we show that the first…
We give a new proof of the Semistable Reduction Theorem for curves. The main idea is to present a curve $Y$ over a local field $K$ as a finite cover of the projective line $X=\PP^1_K$. By successive blowups (and after replacing $K$ by a…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
The single-index model is a statistical model for intrinsic regression where responses are assumed to depend on a single yet unknown linear combination of the predictors, allowing to express the regression function as $ \mathbb{E} [ Y | X ]…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
We show short-time existence for curves driven by curve diffusion flow with a prescribed contact angle $\alpha \in (0, \pi)$: The evolving curve has free boundary points, which are supported on a line and it satisfies a no-flux condition.…
A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit…
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at…
We consider a model Venttsel type problem for linear parabolic systems of equations. The Venttsel type boundary condition is fixed on the flat part of the lateral surface of a given cylinder. It is defined by parabolic operator (with…
We present two machine learning frameworks for forecasting aggregated curves and optimizing storage in the EPEX SPOT day-ahead market. First, a fast parametric model forecasts hourly demand and supply curves in a low-dimensional and…
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…
The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a well-defined mean-variance portfolio selection framework…
Regular cost functions have been introduced recently as an extension to the notion of regular languages with counting capabilities, which retains strong closure, equivalence, and decidability properties. The specificity of cost functions is…
This paper proposes an adaptive mechanism for price signal generation using a piecewise linear approximation of a flexibility function with unknown parameters. In this adaptive approach, the price signal is parameterized and the parameters…
We introduce a novel forecasting model for crop yields that explicitly accounts for spatio-temporal dependence and the influence of extreme weather and climatic events. Our approach combines Bayesian Structural Time Series for modeling…
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as \begin{equation*}…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…